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Eric Benhamou


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Personal Details

First Name: Eric
Middle Name:
Last Name: Benhamou

RePEc Short-ID: pbe39

Postal Address: CDC Ixis CM 47 Quai d'Austerlitz 75013 Paris Cedex France
Phone: 0033 1 55 581598


Location: France, Paris


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Working papers

  1. Eric Benhamou, 2002. "Smart Monte Carlo: Various tricks using Malliavin calculus," Finance, EconWPA 0212004, EconWPA.
  2. Eric Benhamou, 2002. "A Martingale Result for Convexity Adjustment in the Black Pricing Model," Finance, EconWPA 0212005, EconWPA.
  3. Eric Benhamou, 2002. "Option pricing with Levy Process," Finance, EconWPA 0212006, EconWPA.
  4. Eric Benhamou, 2002. "A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks," Finance, EconWPA 0212003, EconWPA.
  5. Eric Benhamou & Alexandre Duguet, 2000. "A 2 Dimensional Pde For Discrete Asian Options," Computing in Economics and Finance 2000, Society for Computational Economics 33, Society for Computational Economics.


  1. Benhamou, Eric & Duguet, Alexandre, 2003. "Small dimension PDE for discrete Asian options," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 27(11-12), pages 2095-2114, September.


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